Market centers within some financial sectors, such as the equity, equity option and commodity markets, cooperate by adopting common message formats and dissemination rules for trade-related data. In some sectors, participating market centers have established a single entity or organization to consolidate all of their outbound market data streams, giving market data recipients a single source for all of the marketplace's real-time data. For example, the Options Price Reporting Authority (OPRA) was established by participating equity option market centers to receive and consolidate their several feeds into one, then disseminate the consolidated market data to subscribed market data recipients.
However, the volume of data disseminated by individual market centers continues to grow, putting down-stream consolidation systems, such as OPRA, at increasing risk of being overwhelmed. Participating market centers can generate vast amounts of data and disseminate it at high rates. Presently, market data systems typically disseminate all data on all listed instruments, regardless of whether a given instrument has seen recent market activity. Potentially, any one market center disseminating at a high data throughput rate might overwhelm the down-stream consolidation system. This can disadvantage all of the market centers by monopolizing the consolidator's data processing resources, possibly causing delays in the data being sent by the consolidator to downstream recipients. Any delay in downstream data is viewed as a very serious problem by market centers and consolidators, since even the smallest data delays degrade the data and pose a threat to investors. To reduce the risk of market centers flooding the consolidation systems, market centers often agree to individual thresholds on the amount of data they can disseminate to the consolidation entity. Any such thresholds are referred to herein as throughput limits.
In order to discourage market centers from exceeding their throughput limits, penalties are typically imposed, such as fines levied against the offending market center. Data consolidators, such as OPRA, typically have the additional power to address excessive throughput rates in real-time by physically throttling the offending market center's data stream. This throttling ability helps the data consolidator protect against data processing delays by bringing the offending market center's dissemination rate back under its assigned threshold. Conversely, because a market center can be enormously disadvantaged if it cannot disseminate all of its trade-related market data in real time to the consolidator, there is a constant tension between the market center's need to disseminate all real-time trade related data, and the need to protect downstream systems from being flooded.
Accordingly, there is need for a method and system that reduces the overall volume of data disseminated to a data consolidation entity without degrading the high quality real-time data disseminated to the data consolidation entity.